Dr Paul Docherty
Newcastle Business School (Accounting and Finance)
- Phone:(02) 4921 5046
Dr Paul Docherty is helping people to make more informed decisions about their investments.
While stock markets are often associated with greed, Dr Paul Docherty’s research on Australian financial markets is for the greater good. Aware of the fiscal challenges and opportunities presented by our country’s ageing population, the value of his research is in maximising the chance that people are able to retire financially independent.
“Increased life expectancies mean that future generations will have longer periods across which they need to drawdown on the wealth accumulated across their working life,” he explains.
Our wellbeing during old age is currently dependent upon how our superannuation investments perform over the course of many decades.
“So I look at strategies that the superannuation industry can adopt in order to maximise the return and minimise the risk of these assets.”
Paul’s quantitative pursuits are also motivated, in large part, by the global financial crisis (GFC) of 2008.
“The GFC was an economic event that had a significant social impact on almost a whole generation,” he recalls.
“But its effects on some individual investors could and should have been mitigated.”
Skin in the game
Paul’s research career began in 2008, when he commenced a PhD at the University of Newcastle (UON). Focused on accounting and finance, the three-year probe compared different ways of pricing stocks in the Australian equity market.
“These efforts culminated in the identification of several factors that can explain variations in the stock returns of Australian companies,” he shares.
Forming the basis of consultancy work undertaken with superannuation funds across the country, Paul’s candidature serves to assist in what he terms “knowledge transfer.”
“I don’t just want to publish things that sit on dusty book shelves,” he elaborates.
“So I’m regularly working with industry, giving briefings and presentations so that my research is put into practice.”
“It’s the best reward.”
Lead and succeed
Paul stayed at UON after receiving his award in 2011, and is now a Senior Lecturer within its Business School. The born and bred Novocastrian is now exploring a second area of study – corporate governance.
“This is in light of the fact that there have been a number of high-profile collapses in Australia over the past decade, such as with One-Tel and HIH Insurance,” he comments.
“We can say retrospectively that poor management was a systemic problem.”
“There was potentially some failing on behalf of the executives.”
In the process of compiling a broad database that can be used to develop “early warning signals,” Paul is hoping to help investors and the broader corporate community to be more proactive about making structural improvements. This project has already attracted the attention of the funds management industry, and is being financially supported by Platypus Asset Management.
“I’m wanting to identify the characteristics that will ensure Boards of Directors are appropriate guardians of companies for the shareholders,” he states.
“The aim is to mitigate the economic and societal costs associated with corporate failures.”
Holding the reins
When asked about any gaps that need filling in his research area, Paul is quick to answer.
“Financial markets are things that people tend to idly talk about at barbeques and other informal social gatherings,” he explains.
“Many of us have a large exposure to them – 9.5% of our salary is invested in superannuation.”
“We’re incredibly financially illiterate, however, for how important the subject is for our wellbeing.”
Wholeheartedly believing that a firm understanding of the “basic principles” of stock markets, such as what drives their returns and why their prices fluctuate, will lead to smarter decision making about personal finances, Paul is looking to educate the public on the ins and outs of investing for retirement.
“Different people will have different needs and preferences in this regard,” he suggests.
“My hope is that through knowledge transfer I can help the broader public learn how to allocate their superannuate assets accordingly.”
Research areas in finance including: - Asset pricing - Market efficiency - Macroeconomics
Paul collaborates extensively with academics from The University of Melbourne, having co-authored several papers with Associate Professor Howard Chan. He is also undertaking ongoing research collaboration with an industry partner; Platypus Asset Management.
- PhD (Accounting and Finance), University of Newcastle
- Bachelor of Commerce, University of Newcastle
- Bachelor of Commerce (Honours), University of Newcastle
- Graduate Certificate Practice of Tertiary Teaching, University of Newcastle
- Asset Pricing
- Empirical Finance
- Funds Management
- Investment Analysis
- Market Efficiency
- Portfolio Management
- Quantitative Research Methods
|Title||Organisation / Department|
|Casual Academic||University of Newcastle
Newcastle Business School
|Casual Academic||University of Newcastle
Newcastle Business School
For publications that are currently unpublished or in-press, details are shown in italics.
Book (1 outputs)
|2014||Kidwell D, Brimble M, Lenten L, Docherty PA, Mazzola P, Basu A, Financial Markets, Institutions and Money, Wiley, Milton, QLD, 843 (2014) [A4]|
Journal article (28 outputs)
Docherty P, Easton S, Pinder S, 'Flights-to-control: Time variation in the value of a vote', Journal of Corporate Finance, 66 (2021)
© 2020 Elsevier B.V. Dual-class shares often violate the ¿one share-one vote¿ principle, thereby creating the potential for agency problems. We develop a model of time-variation i... [more]
© 2020 Elsevier B.V. Dual-class shares often violate the ¿one share-one vote¿ principle, thereby creating the potential for agency problems. We develop a model of time-variation in the pricing of these agency problems, as reflected by the voting premium. A key implication of this model is that insiders face a trade-off between the private benefits of control and the value of their cash-flow claims on the firm, resulting in a negative relationship between the voting premium and the expected present value of firm cash flows. As predicted by this model, we report empirical evidence consistent with ¿flights-to-control¿, where the voting premium increases substantially during financial crises and when negative earnings surprises are announced. These relationships are accentuated for firms where agency problems might be expected to be more pronounced. The average voting premium is also shown to decrease around events that reduce the ability for insiders to extract private benefits of control.
Melia A, Docherty P, Easton S, 'The impact of regulation on the seasoned equity offering decision', Australian Journal of Management, 45 94-113 (2020) [C1]
Docherty P, Hurst G, 'Investor Myopia and the Momentum Premium across International Equity Markets', Journal of Financial and Quantitative Analysis, 53 2465-2490 (2018)
Copyright © 2018 Michael G. Foster School of Business, University of Washington. Myopic investors focus on short-run price changes rather than long-term fundamental value, resulti... [more]
Copyright © 2018 Michael G. Foster School of Business, University of Washington. Myopic investors focus on short-run price changes rather than long-term fundamental value, resulting in an overweighting of public information and a slow diffusion of fundamental news. Such processing of information can produce price drifts similar to those seen in behavioral models of momentum. We explore the impact of myopia over an international sample, finding that momentum is stronger in more myopic countries, and this relationship is magnified where the proportion of funds under delegated management is high. We therefore argue that investor myopia, which arises due to agency issues in delegated funds management, is an important determinant of momentum.
Docherty PA, Dong Y, Song X, Tippett M, 'The Feller diffusion, filter rules and abnormal stock returns', European Journal of Finance, 24 426-438 (2018) [C1]
Docherty P, Hurst G, 'Return dispersion and conditional momentum returns: International evidence', Pacific Basin Finance Journal, 50 263-278 (2018) [C1]
© 2016 The momentum premium is pervasive across international markets and different asset classes; however, the drivers of this premium are yet to be established. This paper contr... [more]
© 2016 The momentum premium is pervasive across international markets and different asset classes; however, the drivers of this premium are yet to be established. This paper contributes to the literature by examining the association between a leading economic indicator, namely return dispersion, and the momentum premium. This association is examined across four regional momentum strategies and a global momentum strategy. We document a strong association between return dispersion and the momentum premium using both ex-post and ex-ante empirical methods. This association is robust to the inclusion of a set of control variables and an alternate specification of return dispersion. We test a conditional momentum strategy that scales the unconditional momentum strategy by the level of return dispersion and find that the conditional momentum strategy outperforms the unconditional momentum strategy in all regions. The results presented in this paper document the dynamic association between risk and the momentum premium.
Seamer MJ, Docherty P, Psaros J, Brookes P, 'Internal Governance Does Matter to Equity Returns but Much More So During Flights to Quality', Journal of Applied Corporate Finance, 30 39-52 (2018) [C1]
Melia A, Chan H, Docherty P, Easton S, 'Explanations of cycles in seasoned equity offerings: An examination of the choice between rights issues and private placements', Pacific Basin Finance Journal, 50 16-25 (2018) [C1]
Docherty PA, Easton S, Elliot B, Lee D, 'Profitability and investment-based factor pricing models', Accounting and Finance, 58 397-421 (2018) [C1]
Docherty PA, Easton S, 'State-varying illiquidity risk in sovereign bond spreads', Pacific-Basin Finance Journal, 50 235-248 (2018) [C1]
Seif M, Docherty P, Shamsuddin A, 'Limits to arbitrage and the MAX anomaly in advanced emerging markets', Emerging Markets Review, 36 95-109 (2018) [C1]
Mahmoudi N, Docherty P, Moscato P, 'Deep neural networks understand investors better', Decision Support Systems, 112 23-34 (2018) [C1]
Anthony J, Docherty P, Lee D, Shamsuddin A, 'Liquidity commonality in the secondary corporate loan market', Economics Letters, 161 10-14 (2017) [C1]
Anthony J, Docherty P, Lee D, Shamsuddin A, 'Liquidity shocks in the secondary corporate loan market', Journal of Fixed Income, 26 53-72 (2017) [C1]
© 2015 Institutional Investor LLC. All Rights Reserved. This article examines the influence of liquidity risk on the U.S. secondary corporate loan market (herein loan market). The... [more]
© 2015 Institutional Investor LLC. All Rights Reserved. This article examines the influence of liquidity risk on the U.S. secondary corporate loan market (herein loan market). The authors empirically disentangle the impact of both loan-level liquidity shocks and systematic liquidity risk from default risk. Loans that experience shocks to either liquidity or default risk experience ongoing price declines, complementing evidence presented elsewhere of price momentum in loan markets. The prices of loans with high liquidity risk are significantly discounted when market liquidity is low, consistent with the time-varying funding liquidity constraints of financial intermediaries. In keeping with a close link between high risk debt markets and equity markets, there is evidence that equity market risk is priced in the loan market.
Seif M, Docherty P, Shamsuddin A, 'Seasonal anomalies in advanced emerging stock markets', Quarterly Review of Economics and Finance, 66 169-181 (2017) [C1]
McCredie B, Docherty P, Easton S, Uylangco K, 'The channels of monetary policy triggered by central bank actions and statements in the Australian equity market', International Review of Financial Analysis, 46 46-61 (2016) [C1]
© 2016 Elsevier Inc. Owing to the discrete disclosure practices of the Reserve Bank of Australia, this paper provides new evidence on the channels of monetary policy triggered by ... [more]
© 2016 Elsevier Inc. Owing to the discrete disclosure practices of the Reserve Bank of Australia, this paper provides new evidence on the channels of monetary policy triggered by central bank actions (monetary policy announcements) and statements (explanatory minutes releases), in the Australian equity market. Both monetary policy announcements and explanatory minutes releases are shown to have a significant and comparable impact on the returns and volatility of the Australian equity market. Further, distinct from US and European studies that find strong evidence of the interest rate, bank loan and balance sheet channels and no evidence of the exchange rate channel following central bank actions, this paper finds that monetary policy impacts the Australian equity market via the exchange rate, interest rate and bank loan channels of monetary policy, with only weak evidence of the balance sheet channel of monetary policy. These channels are found to be operating irrespective of the trigger (monetary policy announcements or explanatory minutes releases), though results are somewhat weaker when examining the explanatory minutes releases. These results have important implications for central bank officials and financial market participants alike: by confirming a comparable avenue to affect monetary policy; and providing an explication of its impact on the Australian equity market.
Chan H, Docherty P, 'Momentum in Australian style portfolios: Risk or inefficiency?', Accounting and Finance, 56 333-361 (2016) [C1]
Melia A, Docherty P, Easton S, 'Net share issues and the cross-section of equity returns under a dividend imputation tax system', Accounting & Finance, 56 1097-1117 (2016) [C1]
Docherty PA, Easton S, 'The long-run efficiency gains in public-to-private transfers: New evidence from earnings announcements', Journal of Banking and Finance Law and Practice, 26 227-239 (2015) [C1]
Hurst G, Docherty P, 'Trend salience, investor behaviours and momentum profitability', Pacific Basin Finance Journal, 35 471-484 (2015) [C1]
Docherty P, Melia A, 'The race that stops the equity market', Applied Economics Letters, 22 1179-1183 (2015) [C1]
© 2015 Taylor & Francis. The Melbourne Cup is a major horse racing event that is colloquially known as the ¿race that stops the nation¿ in Australia. We use constituent stoc... [more]
© 2015 Taylor & Francis. The Melbourne Cup is a major horse racing event that is colloquially known as the ¿race that stops the nation¿ in Australia. We use constituent stock intraday volume data on the Australian Securities Exchange S&P/ASX 200 equity index from 2003 to 2013 within a regression framework to examine whether this major horse race reduces investor attention. Results show that trading volume on the Australian equity market is significantly reduced during and immediately surrounding the running of the Melbourne Cup, supporting the claim that this is the ¿race that stops the equity market¿.
Akhtaruzzaman MD, Docherty P, Shamsuddin AFM, 'Interest rate, size and book-to-market effects in Australian financial firms', Applied Economics, 46 3005-3020 (2014) [C1]
Docherty P, Easton S, 'A note on the pricing of Australian government asset sales', Australian Journal of Management, 39 415-423 (2014) [C1]
Unlike acquiring company shareholders in Australian takeovers, but like shareholders in government initial public offerings, shareholders of companies purchasing Australian govern... [more]
Unlike acquiring company shareholders in Australian takeovers, but like shareholders in government initial public offerings, shareholders of companies purchasing Australian government assets earn economically and statistically significant positive abnormal returns. However, unlike privatisations via initial public offerings where all citizens are entitled to subscribe for shares, in privatisations via asset sales only acquiring company shareholders benefit from any under-pricing. This suggests the need for greater scrutiny to ensure fair pricing in privatisation via asset sales. © The Author(s) 2013.
McCredie B, Docherty P, Easton S, Uylangco K, 'The differential impact of monetary policy announcements and explanatory minutes releases on the Australian interest rate futures market', Pacific Basin Finance Journal, 29 261-271 (2014) [C1]
Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that expla... [more]
Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that explain the decision process. This information is disclosed 2. weeks later when the explanatory minutes of the Reserve Bank board meeting are released. This paper is the first study to exploit the features of the Australian monetary policy environment in order to examine the differential impact of monetary policy announcements and explanatory statements on the Australian interest rate futures market.We find that both monetary policy announcements and explanatory minutes releases have a significant impact on the implied yield and volatility of Australian interest rate futures contracts. When the differential impact of these announcements is examined using the full sample, no statistically significant difference is found. However, when the sample is partitioned based on stable periods and the Global Financial Crisis, a differential impact is evident. Further, contrary to the findings of Kim and Nguyen (2008), Lu et al. (2009), and Smales (2012a), the response along the yield curve, is found to be indifferent between the short and medium terms. © 2014 Elsevier B.V.
Docherty P, Chan H, Easton S, 'Australian evidence on the implementation of the size and value premia', ACCOUNTING AND FINANCE, 53 367-391 (2013) [C1]
Docherty P, Chan H, Easton S, 'Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia', PACIFIC-BASIN FINANCE JOURNAL, 22 107-124 (2013) [C1]
Docherty PA, Easton SA, 'Market efficiency and continuous information arrival: Evidence from prediction markets', Applied Economics, 44 2461-2471 (2012) [C1]
Docherty PA, Chan H, Easton SA, 'Asset tangibility, industry representation and the cross section of equity returns', Australian Journal of Management, 36 75-87 (2011) [C1]
Docherty PA, Chan H, Easton SA, 'Tangibility and investment irreversibility in asset pricing', Accounting and Finance, 50 809-827 (2010) [C1]
|Show 25 more journal articles|
Conference (2 outputs)
Docherty PA, Chan H, Easton SA, 'Asset tangibility, industry representation and the cross section of equity returns', 23rd Australasian Finance and Banking Conference 2010, Sydney, NSW (2010) [E1]
Docherty PA, Chan H, Easton SA, 'Tangibility, investment irreversibility and asset pricing', 22nd Australasian Finance and Banking Conference 2009, Sydney, NSW (2009) [E1]
Grants and Funding
|Number of grants||3|
Click on a grant title below to expand the full details for that specific grant.
20191 grants / $6,000
Firm-specific versus aggregate market investor sentiment: What matters most for corporate announcement returns$6,000
Funding body: Accounting & Finance Association of Australia and New Zealand Ltd
20151 grants / $8,102
Funding body: University of Newcastle
20121 grants / $99,000
Practical implementation of anomaly-based investment strategies and the investigation of new anomalies in the Australian stock market$99,000
Funding body: Platypus Asset Management
|Funding body||Platypus Asset Management|
|Project Team||Doctor Paul Docherty, Professor Stephen Easton, Emeritus Professor Jim Psaros, Dr Howard Chan, Professor Philip Gray, Chan, Howard, Gray, Philip|
|Type Of Funding||Grant - Aust Non Government|
Number of supervisions
|Year||Level of Study||Research Title||Program||Supervisor Type|
|2020||PhD||Mining Social Media as a Measure of Equity Market Sentiment||PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle||Co-Supervisor|
|2018||PhD||Share Issuance: An Australian Study||PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle||Principal Supervisor|
|2017||PhD||An Empirical Analysis of the Investment and Profitability Effects||PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle||Co-Supervisor|
|2017||PhD||Corporate Governance and Firm Performance in Saudi Arabia||PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle||Co-Supervisor|
|2017||PhD||Liquidity in the Secondary Corporate Loan Market||PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle||Co-Supervisor|
|2016||PhD||The Momentum Premium: An Economic and Behavioural Examination||PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle||Principal Supervisor|
|2016||PhD||Market Efficiency and Limits to Arbitrage in Advanced Emerging Markets||PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle||Co-Supervisor|
|2015||PhD||The Channels of Monetary Policy on Australian Financial Markets||PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle||Co-Supervisor|
|2013||PhD||Interest Rate Risk of Australian Financial Firms||PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle||Co-Supervisor|
The map is a representation of a researchers co-authorship with collaborators across the globe. The map displays the number of publications against a country, where there is at least one co-author based in that country. Data is sourced from the University of Newcastle research publication management system (NURO) and may not fully represent the authors complete body of work.
|Country||Count of Publications|
May 29, 2015
November 20, 2014
Dr Paul Docherty
Newcastle Business School
College of Human and Social Futures
Accounting and Finance
|Phone||(02) 4921 5046|
Callaghan, NSW 2308